Earlier today I tried installing the popular tethering application PDAnet on my AT&T Android phone; then I found out that AT&T doesn't allow me to do that. In fact, PDAnet doesn't even show up when I search the Android Market on my phone, because AT&T doesn't want me to install it. If I try to install it from the new web-based Android Market, I receive a message telling me that my carrier won't allow me to install it on my phone.

Open the Android Market, search for, and install the previously carrier-blocked app.

Turn off your phone.

Pop the SIM card back in.

Turn your phone back on.

Enjoy!

Your mileage may vary depending on your carrier and device. I'm using a Samsung Captivate on AT&T—a phone I'd suggest no one ever buys—and this method worked perfectly on that. If you've installed carrier-blocked apps before with your carrier, let's hear how you went about it in the comments. (Hat tip to a user in the ATTDroids forum.)

Update: As many people have pointed out in the options, you've got countless other alternatives for installing apps once you've rooted your phone. The nice thing about this method is that you don't have to root to do it.